If relationships with Krishna are so wonderful, why would anyone want to leave Him and come to the material world?

Krishna doesn't force us to love Him. True love without free will has no meaning. It's true He is the most wonderful, loving, supreme person, and it's also true that relationships with Him are the most satisfying experience any of us could hope to have. But we have the tendency to be greedy. We may think we've got it good, but we could have it better somewhere else. That's called unwise, imprudent use of our free will.

Krishna doesn't coerce us into staying in His company if we're determined to look elsewhere for a good time. But while we're in the material world, He stays with us at every moment as the Supersoul, Paramatma in our heart, directing us from within according to our desires to enjoy.

Krishna says in the Bhagavad-gita that anyone who finally realizes the error they've made—by trying to find perfect happiness in this place of repeated birth and death, disappointment and misery—and decides to again come back to Krishna, never leaves Him again, having learned their lesson. From then on, we know what our options are, and freely prefer to remain where we are.